Asset Class Credit Products
the most common products in this asset class and characteristic numbers; potential indices and benchmarks for this asset class; active vs. passive strategies and replication of benchmarks; maybe: approaches estimation of the long-term return distribution for this asset class; objective functions and performance measures for this asset class; trading strategies for this asset class controlling a credit portfolio using derivatives; selection and optimisation for a credit portfolio: performance and attribution analysis for a credit portfolio
Quantitative Asset and Risk Management (Master)
Studienjahr, in dem die Lerneinheit angeboten wird
Semester in dem die Lehrveranstaltung angeboten wird
Lernergebnisse der Lehrveranstaltung
After the successful completion of the course, students are able to characterize products of the asset class credit. They are capable of differentiating between different financial products within the asset class and identify their associated risks. Additionally, they are able to construct forecasting models for this asset class and utilize the results for portfolio allocation and selection. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class.
Kennzahl der Lehrveranstaltung